AMGL[Strategy] vs INav[Benchmark]

30 Jul, 2025 - 11 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	100.0%
Cumulative Return	32.71%	32.59%
CAGR﹪	43.68%	43.51%
Sharpe	1.22	0.96
Prob. Sharpe Ratio	61.82%	51.02%
Smart Sharpe	1.15	0.91
Sortino	1.73	1.47
Smart Sortino	1.64	1.39
Sortino/√2	1.23	1.04
Smart Sortino/√2	1.16	0.98
Omega	1.24	1.24
Max Drawdown	-17.17%	-17.64%
Longest DD Days	76	117
Volatility (ann.)	27.43%	38.11%
R^2	0.43	0.43
Information Ratio	-0.01	-0.01
Calmar	2.54	2.47
Skew	-0.7	1.09
Kurtosis	4.25	22.52
Expected Daily	0.14%	0.14%
Expected Monthly	2.61%	2.6%
Expected Yearly	15.2%	15.15%
Kelly Criterion	10.7%	14.74%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.68%	-3.78%
Expected Shortfall (cVaR)	-2.68%	-3.78%
Max Consecutive Wins	4	8
Max Consecutive Losses	5	5
Gain/Pain Ratio	0.3	0.28
Gain/Pain (1M)	2.15	2.33
Payoff Ratio	1.06	1.21
Profit Factor	1.3	1.28
Common Sense Ratio	1.42	1.46
CPC Index	0.74	0.83
Tail Ratio	1.09	1.13
Outlier Win Ratio	3.46	2.99
Outlier Loss Ratio	4.36	4.04
MTD	0.3%	0.92%
3M	-10.47%	-9.99%
6M	4.65%	5.74%
YTD	2.27%	2.17%
1Y	32.71%	32.59%
3Y (ann.)	43.68%	43.51%
5Y (ann.)	43.68%	43.51%
10Y (ann.)	43.68%	43.51%
All-time (ann.)	43.68%	43.51%
Best Day	5.23%	18.48%
Worst Day	-8.94%	-12.81%
Best Month	16.05%	16.56%
Worst Month	-7.36%	-7.92%
Best Year	29.76%	29.77%
Worst Year	2.27%	2.17%
Avg. Drawdown	-2.93%	-4.63%
Avg. Drawdown Days	13	22
Recovery Factor	1.91	1.85
Ulcer Index	0.07	0.08
Serenity Index	0.51	0.54
Avg. Up Month	6.47%	6.57%
Avg. Down Month	-4.89%	-4.92%
Win Days	53.97%	53.33%
Win Month	72.73%	63.64%
Win Quarter	75.0%	75.0%
Win Year	100.0%	100.0%
Beta	0.47	-
Alpha	0.2	-
Correlation	65.6%	-
Treynor Ratio	54.46%	-